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Credit Correlation: Life After Copulas

Credit Correlation: Life After Copulas

1 375 kr

1 375 kr

Tidigare lägsta pris:

1 339 kr

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Tor, 22 maj - ons, 28 maj


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Produktbeskrivning

The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market.

Artikel.nr.

eaba052c-1f76-4cd4-abc2-a37495c359d0

Credit Correlation: Life After Copulas

1 375 kr

1 375 kr

Tidigare lägsta pris:

1 339 kr

I lager

Tor, 22 maj - ons, 28 maj


Säker betalning

14-dagars öppet köp


Säljs och levereras av

Adlibris